Religious anomalies in Islamic stock markets: The Hajj Effect in Saudi Arabia

Shaista Wasiuzzaman ()
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Shaista Wasiuzzaman: Multimedia University

Journal of Asset Management, 2017, vol. 18, issue 3, No 1, 157-162

Abstract: Abstract This study focuses on the issue of religious anomalies, particularly the Hajj effect, influencing returns and volatility of the Saudi stock market (also known as the Tadawul All-Share Index). Using daily prices and trading volume of the index for a period of 9 years and the ARMA(1,1)–GARCH(1,1) model, it is found that returns are lower and volatility is higher during the Hajj period, although the effect is significant only for the volatility and not the returns.

Keywords: religious experience; GARCH model; islamic stock markets (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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DOI: 10.1057/s41260-016-0028-1

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